Michael Handschuh
106 lines
4.1 KiB
C#
106 lines
4.1 KiB
C#
/*
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* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
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* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
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*
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* Licensed under the Apache License, Version 2.0 (the "License");
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* you may not use this file except in compliance with the License.
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* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
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*
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* Unless required by applicable law or agreed to in writing, software
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* distributed under the License is distributed on an "AS IS" BASIS,
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* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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* See the License for the specific language governing permissions and
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* limitations under the License.
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*/
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using System;
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using System.Collections.Generic;
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using Python.Runtime;
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using QuantConnect.Data;
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using QuantConnect.Data.UniverseSelection;
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using QuantConnect.Util;
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namespace QuantConnect.Algorithm.Framework.Alphas
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{
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/// <summary>
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/// Provides an implementation of <see cref="IAlphaModel"/> that combines multiple alpha
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/// models into a single alpha model and properly sets each insights 'SourceModel' property.
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/// </summary>
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public class CompositeAlphaModel : IAlphaModel
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{
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private readonly IAlphaModel[] _alphaModels;
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/// <summary>
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/// Initializes a new instance of the <see cref="CompositeAlphaModel"/> class
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/// </summary>
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/// <param name="alphaModels">The individual alpha models defining this composite model</param>
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public CompositeAlphaModel(params IAlphaModel[] alphaModels)
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{
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if (alphaModels.IsNullOrEmpty())
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{
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throw new ArgumentException("Must specify at least 1 alpha model for the CompositeAlphaModel");
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}
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_alphaModels = alphaModels;
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}
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public CompositeAlphaModel(PyObject[] alphaModels)
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{
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if (alphaModels.IsNullOrEmpty())
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{
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throw new ArgumentException("Must specify at least 1 alpha model for the CompositeAlphaModel");
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}
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_alphaModels = new IAlphaModel[alphaModels.Length];
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for (var i = 0; i < alphaModels.Length; i++)
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{
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if (!alphaModels[i].TryConvert(out _alphaModels[i]))
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{
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_alphaModels[i] = new AlphaModelPythonWrapper(alphaModels[i]);
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}
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}
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}
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/// <summary>
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/// Updates this alpha model with the latest data from the algorithm.
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/// This is called each time the algorithm receives data for subscribed securities.
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/// This method patches this call through the each of the wrapped models.
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/// </summary>
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/// <param name="algorithm">The algorithm instance</param>
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/// <param name="data">The new data available</param>
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/// <returns>The new insights generated</returns>
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public virtual IEnumerable<Insight> Update(QCAlgorithmFramework algorithm, Slice data)
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{
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foreach (var model in _alphaModels)
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{
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var name = model.GetModelName();
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foreach (var insight in model.Update(algorithm, data))
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{
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if (string.IsNullOrEmpty(insight.SourceModel))
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{
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// set the source model name if not already set
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insight.SourceModel = name;
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}
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yield return insight;
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}
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}
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}
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/// <summary>
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/// Event fired each time the we add/remove securities from the data feed.
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/// This method patches this call through the each of the wrapped models.
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/// </summary>
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/// <param name="algorithm">The algorithm instance that experienced the change in securities</param>
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/// <param name="changes">The security additions and removals from the algorithm</param>
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public virtual void OnSecuritiesChanged(QCAlgorithmFramework algorithm, SecurityChanges changes)
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{
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foreach (var model in _alphaModels)
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{
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model.OnSecuritiesChanged(algorithm, changes);
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}
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}
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}
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}
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